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| Kointegrationstest (Johansen / Engle-Granger)× | Vektor-Fehlerkorrekturmodell (VECM)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1988 | 1987 |
| Urheber≠ | Engle & Granger (1987); Johansen (1988) | Engle & Granger |
| Typ≠ | Time-series cointegration test | Multivariate time-series model |
| Wegweisende Quelle≠ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ | Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. DOI ↗ |
| Aliasnamen | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) | vector error correction model, error correction model, cointegration model, VECM (Vektör Hata Düzeltme Modeli) |
| Verwandt≠ | 5 | 4 |
| Zusammenfassung≠ | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). | The Vector Error Correction Model is a multivariate time-series model for cointegrated series that captures both their short-run dynamics and their long-run equilibrium relationship. It was introduced by Engle and Granger in 1987 as part of the cointegration and error-correction framework. |
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